Greeks.Live & Deribit Options Market Observation 0709— Cheaper Premiums
--
Remarks:
Bitcoin rose quickly from $9,300 to $9,450 last night and then continued into sideways. Because the volatility is too low, the sellers are hard to hedge their positions. The market is just not a good deal for the sellers.
This report is jointly published by Deribit and Greeks.Live.
【Performance of the underlying assets】
BTC historical volatility:
7d 26.28%
14d 25.02%
30d 36.84%
60d 51.97%
1Y 84.94%
ETH historical volatility:
7d 46.66%
14d 45.96%
30d 52.25%
60d 61.11%
1Y 103.35%
Options market data shows that historical volatility is consistently low.For such a market, the seller is actually tougher, because expected profits are not enough for the move.
【BTC Options】
BTC options open interest was down slightly at $961 million.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 55%, 3m 66%, 6m 72%
7/8： 1m 53%, 3m 65%, 6m 71%
Short-term implied volatility is creeping up and medium- and long-term IVs are almost going in a horizontal straight line.
Skew:
Today:1m +5.6%, 3m +4.4%, 6m +4.1%
7/8： 1m +3.1%, 3m+3.6%, 6m +3.7%
Skew is stable, which is moving closer to +5%. All data shows the market is stable.
PCR
The Put/Call Ratio is 0.51.
In terms of position changes, the market volume is stable, and small price movements do not affect the market.
Every time the price of Bitcoin goes up, someone will buy OTM put option.
【ETH Options】
ETH options open interest is USD 154 million.
Trading volumes are stable.
The IV of each standardized expiry date:
Today: 1m 59%，3m 70%，6m 76%
7/8： 1m 56%，3m 68%，6m 75%
There was a small positive line today and implied volatility was up a bit.
Skew:
Today: 1m +7.1%, 3m +9.7%, 6m +6.8%
7/8： 1m +4.5%, 3m +10.1%, 6m +5.6%
Have a good time.
Jeff Liang
CEO of Greeks.Live
July 9, 2020
